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This conceptual work introduces the mathematics of fractals and chaos theory and applies them to investments and economics. The text notes a shift away from efficient capital markets and examines the concept of a chaotic economic system which exists on volatility rather than equilibrium.
- Sales Rank: #1327340 in Books
- Published on: 1991-11
- Original language: English
- Number of items: 1
- Dimensions: 9.50" h x 6.25" w x .75" l,
- Binding: Hardcover
- 254 pages
From the Publisher
This edition of a Wiley classic brings Chaos completely up-to-date with timely examples from today's markets and descriptions of the related cutting-edge technologies such as genetic algorithms, wavelets, complexity theory and hot innovations, such as fuzzy logic and artificial intelligence. Contents include: non-linear dynamics, fractals, rescales range (R/S) analysis and a case-by-case analysis of the capital markets using chaos models and updated examples.
From the Back Cover
The latest developments in chaos theory - from an industry expert
Chaos and Order in the Capital Markets was the first book to introduce and popularize chaos as it applies to finance. It has since become the classic source on the topic. This new edition is completely updated to include the latest ripples in chaos theory with new chapters that tie in today's hot innovations, such as fuzzy logic, neural nets, and artificial intelligence.
Critical praise for Peters and the first edition of Chaos and Order in the Capital Markets
"The bible of market chaologists." - BusinessWeek
"Ed Peters has written a first-class summary suitable for any investment professional or skilled investor." - Technical Analysis of Stocks & Commodities
"It ranks among the most provocative financial books of the past few years. Reading this book will provide a generous payback for the time and mental energy expended." - Financial Analysts Journal
This second edition of Chaos and Order in the Capital Markets brings the topic completely up to date with timely examples from today's markets and descriptions of the latest wave of technology, including genetic algorithms, wavelets, and complexity theory.
Chaos and Order in the Capital Markets was the very first book to explore and popularize chaos theory as it applies to finance. It has since become the industry standard, and is regarded as the definitive source to which analysts, investors, and traders turn for a comprehensive overview of chaos theory. Now, this invaluable reference - touted by BusinessWeek as "the bible of market chaologists" - has been updated and revised to bring you the latest developments in the field.
Mainstream capital market theory is based on efficient market assumptions, even though the markets themselves exhibit characteristics that are symptomatic of nonlinear dynamic systems. As it explores - and validates - this nonlinear nature, Chaos and Order repudiates the "random walk" theory and econometrics. It shifts the focus away from the concept of efficient markets toward a more general view of the forces underlying the capital market system.
Presenting new analytical techniques, as well as reexamining methods that have been in use for the past forty years, Chaos and Order offers a thorough examination of chaos theory and fractals as applied to investments and economics. This new edition includes timely examples from today's markets and descriptions of cutting-edge technologies-genetic algorithms, wavelets, complexity theory-and hot innovations, such as fuzzy logic and artificial intelligence.
Beyond the history of current capital market theory, Chaos and Order covers the crucial characteristics of fractals, the analysis of fractal time series through rescaled range analysis (R/S), the specifics of fractal statistics, and the definition and analysis of chaotic systems. It offers an in-depth exploration of:
* Random walks and efficient markets - the development of the efficient market hypothesis (EMH) and modern portfolio theory
* The linear paradigm - why it has failed
* Nonlinear dynamic systems - phase space, the Henon Map, Lyapunov exponents
* Applying chaos and nonlinear methods - neural networks, genetic algorithms
* Dynamical analysis of time series - reconstructing a phase space, the fractal dimension
Tonis Vaga's Coherent Market Hypothesis - the theory of social imitation, control parameters, Vaga's implementations
Plus, Chaos and Order now contains a Windows-compatible disk including data sets for running analyses described in the appendices.
Written by a leading expert in the field, Chaos and Order in the Capital Markets has all the information you need for a complete, up-to-date look at chaos theory. This latest edition will undoubtedly prove to be as invaluable as the first.
About the Author
EDGAR E. PETERS is an expert on chaos theory and its financial applications. He is Chief Investment Strategist and Director of Systematic Asset Allocation for PanAgora Asset Management, Inc., a global investment management firm. He is a frequent lecturer on market theory, and has taught investment and portfolio management at Babson College, Boston College, and Bentley College. In addition to the first edition of Chaos and Order in the Capital Markets, he is the author of Fractal Market Analysis and numerous articles in professional journals.
Most helpful customer reviews
0 of 0 people found the following review helpful.
4 stars
By KT
This book receives 4 stars because it has made a serious attempt to apply non-linear models to financial markets. However, financial markets are incredibly difficult to model and a constant moving target. Since 2008, and after the colossal sums of money continue to be printed to rig ALL markets to provide illicit gains for the banks and their chief (the Fed), most attempts to model markets and use quant model will likely prove futile or short-lived.
45 of 45 people found the following review helpful.
Excellent overview
By A Customer
Most probably there are two types of people who won't like this book. First, if you are a research scientist with a lot of experience in the field, you'll probably find the material a bit too "easy" (you know, people who write "it's easy like a senior undergrad math texbook" in their reviews). Certainly, you can learn a lot of the same stuff from original papers. On the other hand, learning from research papers is not the most efficient way (I have an M.S.(astrophysics)/B.S.(physics), and still get headaches reading them), and this book provides a great overview. Now I read the original papers from the link above with much better understanding. The second category who won't enjoy the book is dyed-in-the-wool "practitioners" in search of a magic formula. I don't think this book can be directly applied to creating a trading system. On the other hand, it will help you understand the markets better, which won't hurt your financial success. While the knowledge that S&P 500 has a fractal dimension of 1.26 won't give you too much edge, understanding that there is a strong statistical evidence for trending in the markets (e.g. Hurst exponent substantially > 0.5) can be an extra reason for the head of your trading firm yelling at you when you refused to cut your losses or to hold on to your winners. But, again, the book is mostly useful in the same sense as the philosophy class you took in college: it gives you a fresh perspective and lets you look at the world from a different angle.
In short, if you are interested in the markets and are not totally averse to science, you'll like this book a lot. It's the first book in finance which I found hard to put down. The text is written on an introductory level, explaining all new concepts. There are a lot of graphs and numerical results related to the market, and the author's thoughts and observations are most fascinating.
13 of 13 people found the following review helpful.
Good overview, bad balance
By A Customer
If you're looking for a purely conceptual introduction to how chaos theory can be applied to financial markets, this book is as good a source as any. Peters's discussion of R/S statistics and the graphical examples drawn from the markets are clear and intuitive (Ch. 7-8). The key point demonstrating long-term memory effects in the market is well made.
However he spends an inordinate amount of time attacking the foundations of the efficient market hypothesis (EMH) to the point of being boring, yet the argument boils down to "it has errors when compared to reality". Duh, so does every other theory, including fractal. The real issue is "for the error in theory A, how bad are the results X, and is theory B much better at it?" If you're not going to do that, don't spend 40 pages (Ch. 1-4) on it. This is misleading to those not familiar with EMH, and boring to those who are.
Don't look to this book for good math. In my edition (1991), careless and erroneous notations abound. Also, the equations are written in BASIC notation which is notoriously hard to visualize, but this is probably the fault of the editor/publisher. Peters makes frequent and unannounced jumps between the apparent rigor of math and loose conjectures. The math is distracting to a qualitative reader, and the conjectures irritating to the quantitative one. Better to cater to one audience, and do it well.
Still, I would recommend this book as a good conceptual introduction to the subject. But if you're planning to go deeper, use the equations in this book at your own perils. Go to the source.
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